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S-values: Conventional context-minimal measures of the sturdiness of regression coefficients

Published on Jul 1, 2016in Journal of Econometrics1.95
· DOI :10.1016/j.jeconom.2015.10.013
Edward E. Leamer44
Estimated H-index: 44
(UCLA: University of California, Los Angeles)
Abstract
This paper proposes a context-minimal range of alternative regression models that is used to generate a range of alternative estimates. A prior distribution is assumed with a zero mean but an ambiguous covariance matrix. The choice of the prior covariance matrix is facilitated by transformation to standardized variables which makes the prior expected R2 equal to the sum of the prior variances. Three different ranges of the prior expected R2 are used to define three different intervals of prior covariance matrices which are used to produce three different sets of s-values.
  • References (21)
  • Citations (5)
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Cited By5
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#1Edward E. Leamer (UCLA: University of California, Los Angeles)H-Index: 44
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#1Edward E. Leamer (UCLA: University of California, Los Angeles)H-Index: 44
3 CitationsSource